2 citations · 2 across the 3 of their papers we have counts for
8 papers
Cross-validatory model selection for Bayesian autoregressions with exogenous regressors
Alex Cooper, Dan Simpson, Lauren Kennedy +2
Bayesian cross-validation (CV) is a popular method for predictive model assessment that is simple to implement and broadly applicable. A wide range of CV schemes is available for t…
Familial inference: tests for hypotheses on a family of centres
Ryan Thompson, Catherine S. Forbes, Steven N. MacEachern +1
Statistical hypotheses are translations of scientific hypotheses into statements about one or more distributions, often concerning their centre. Tests that assess statistical hypot…
Forecasting observables with particle filters: Any filter will do!
Patrick Leung, Catherine S. Forbes, Gael M. Martin +1
We investigate the impact of filter choice on forecast accuracy in state space models. The filters are used both to estimate the posterior distribution of the parameters, via a par…
Updating Variational Bayes: Fast sequential posterior inference
Nathaniel Tomasetti, Catherine S. Forbes, Anastasios Panagiotelis
Variational Bayesian (VB) methods produce posterior inference in a time frame considerably smaller than traditional Markov Chain Monte Carlo approaches. Although the VB posterior i…
The determinants of bank loan recovery rates in good times and bad - new evidence
Hong Wang, Catherine S. Forbes, Jean-Pierre Fenech +1
We find that factors explaining bank loan recovery rates vary depending on the state of the economic cycle. Our modeling approach incorporates a two-state Markov switching mechanis…
A Robust Bayesian Exponentially Tilted Empirical Likelihood Method
Zhichao Liu, Catherine S. Forbes, Heather M. Anderson
This paper proposes a new Bayesian approach for analysing moment condition models in the situation where the data may be contaminated by outliers. The approach builds upon the foun…
High-Frequency Jump Tests: Which Test Should We Use?
Worapree Maneesoonthorn, Gael M. Martin, Catherine S. Forbes
We conduct an extensive evaluation of price jump tests based on high-frequency financial data. After providing a concise review of multiple alternative tests, we document the size…
Inference on Self-Exciting Jumps in Prices and Volatility using High Frequency Measures
Worapree Maneesoonthorn, Catherine S. Forbes, Gael M. Martin
Dynamic jumps in the price and volatility of an asset are modelled using a joint Hawkes process in conjunction with a bivariate jump diffusion. A state space representation is used…